Investor Attention And The Gem Market In China Performance

With the rise of big data and cloud computing, the world into the era of information explosion.Because ordinary investors energy,the ability to process information more and more, this can lead to attention become scarce resources.Therefore, limited attention will become the important factors that affect asset prices.In view of the phenomenon of China's capital market in the majority of ordinary investors, the investor sentiment becomes more practical significance.This paper mainly research on investors' concern, research will focus on the yield of the stock market influence and liquidity.Active degree is high, the stock market in China and in particular, the gem retail participation is more active, in order to better study the investors' attention, this article selects the gem as sample.This article selects baidu index as proxy variable of investor attention, take 30 months monthly index, build panel data, through the empirical analysis of 27 gem companies investor attention and correlation between yield and liquidity.In the monthly data are analyzed, investors' attention to the influence of the volume is more significant.At the same time, 27 the gem companies according to the search terms can be divided into three categories, the search precision of different attention will affect earnings model and volume.Finally, an empirical analysis in this paper, the lag investors focus on earnings and the influence of the volume, prove the influence of different attention to liquidity index of the lag is the largest.Use the sample for the particularity of the gem companies, three factor model reference Fama, explore the lag effect on liquidity.Based on the empirical conclusion, gave the corresponding solution.